Special Reports > Asset Allocation Study

Can Crypto Enhance Portfolio Returns?

This asset allocation study investigates what impact minor allocations (1% to 5%) of cryptocurrencies in a portfolio of well-diversified assets have on the overall portfolio performance.

Can Crypto Enhance Portfolio Returns?
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Can Crypto Enhance Portfolio Returns?
Note: This report has been produced for professional investors only, such as asset managers, private banks, private wealth organisations, registered investment advisors, registered securities firms, fund service platforms, family offices, insurance companies, hedge funds, sovereign and pension funds.

About the Report

Insights

  1. 1
    Crypto Integration in Diversified Portfolios
    The integration of cryptocurrencies into diversified portfolios across the Eurozone, Swiss, and UK regions has the potential to augment returns. The study traces the growth trajectory of a 100 EUR/CHF/GBP investment from 2010 to 2023.

    The crypto component is backdated and represented by the MSCI Global Digital Assets Select Top 20 Capped Index to offer a comprehensive view of the growth of model portfolios over the years.
  2. 2
    Crypto Correlations with Financial Assets
    The intricate relationships between cryptocurrencies and a variety of financial assets, including equities, bonds, gold, and commodities are uncovered to reveal changing correlations with different asset classes over time.
  3. 3
    Portfolio Performance and Rebalancing Impact
    The report displays the diverse performance results of portfolios with varying crypto allocations, spanning from 0% to 5%. Additionally, it includes an analysis of how different rebalancing frequencies, such as monthly, quarterly, and annual strategies, impact portfolio volatility and returns, highlighting their respective effects.
  4. 4
    Bootstrapped Performance Metrics and Allocation Insights
    A bootstrapped methodology evaluates portfolio performance through the utilisation of metrics such as the Sharpe ratio, Calmar ratio, and the Sortino ratio. The study highlights the potential of minor crypto allocations to produce outsized portfolio returns and foster diversification, underscoring the significant role of rebalancing frequency in managing the proportion of crypto components in the portfolio.

The Authors